The Bank of Italy, the ISI Foundation, the Association of Italian Bankers, the Italian Cognitive Science Association and the Department of Economics and Public Finance “G. Prato” of the University of Torino are happy to announce that the first workshop on “Agent-Based Modeling for Banking and Finance” (ABM-BaF) will be held at Villa Gualino, on the hills surrounding Torino, Italy between February 9th and February 11th, 2009.

The workshop brings together researchers from central banks, academia and the private sector to discuss the potential of agent-based methods for the study of issues in banking and finance ranging from payment system stability to contagion in credit crises. It aims to serve as a forum for dissemination of new research and exchange of ideas between theorists and practitioners.

Program

Day 1: Complexity and methodology of agent-based models

9.00-9.30 Opening speech and welcome address by Mario Rasetti (ISI general secretary) and Alessandro Sembenelli (director of the Department of Economics and Public Finance “G. Prato”).

9.30-11.00 Sorin Solomon (The Hebrew University of Jerusalem and ISI) "Complexity and models"

11.00-11.30 Coffee break

11.30-13.00 David Brée (University of Manchester and ISI) "Equation Models vs. Agent Models and an Example about Pre-Crash Bubbles”

13.00-14.30 Lunch break

14.30-16.00 Pietro Terna (University of Torino and ISI) "Tools: the Swarm protocol and a possible new implementation in Python”

15.45-16.00 Coffee break

16.00-17.30 Free space for impromptu communications with interventions of Guido Fioretti [paper/presentation] and Marco Lamieri [impromptu]

Day 2: Modeling and simulation for central banking

9.30-10.15 Giuseppe Ilardi (Bank of Italy), "Modeling an RTGS system with SLAPP"

10.15-11.00 Marco Galbiati (Bank of England), "Liquidity saving mechanisms and bank behaviour"

    Discussant: Sheri M. Markose (University of Essex)

11.00-11.30 Coffee break

11.30-12.15 Kimmo Soramaki (VerticeTree Research and Technology) “Congestion and Cascades in Interdependent Payment Systems”

    Discussant: Gani Aldashev (University of Namur, Belgium)

12.15-13.00 Biliana Alexandrova-Kabadjova (Banco de México), "Agent based modeling of a Payment Card Market: from understanding the competition to policy making"

    Discussant: Luca Arciero (Bank of Italy)

13.00-14.30 Lunch break

14.30-15.15 Nicholas Labelle St-Pierre (Bank of Canada), "When do operation events become a systemic concern: an agent-based model of LVTS"

    Discussant: Giovanna Nicodano (University of Torino)

15.15-16.00 Matti Hellqvist (Bank of Finland), “Applications of BoF-PSS2 simulator and how to use it in agent based models”

    Discussant: Nicholas Labelle St-Pierre (Bank of Canada)

16.00-16.30 Coffee break

16.30-18.30 Free space for impromptu communications with an intervention of Gani Aldaschev [impromptu] and software presentations from Matti Hellqvist and Pietro Terna [offsite link]

Day 3: Modeling and simulation for banking and finance

9.30-10.15 Giovanna Nicodano (University of Torino), “Leverage, Value and Firm Scope”

    Discussant: Marco Galbiati (Bank of England)

10.15-11.00 Domenico Delli Gatti (Catholic University of Milano) – “Financially Constrained Fluctuations in an Evolving Network Economy”

    Discussant: Biliana Alexandrova-Kabadjova (Banco de México)

11.00-11.30 Coffee break

11.30-12.15 Sheri M. Markose (University of Essex), “A Multi-Agent Model of RMBS, Credit Risk Transfer in Banks and Financial Stability: Implications for the Subprime Crisis”

    Discussant: Leandro D’Aurizio (Bank of Italy)

12.15-13.00 Leanne J. Ussher (Queens College and ISI) – “Mark-to-Market and Leveraged Trading in a Speculative Market: A Simulation with Zero Intelligent Agents”

    Discussant: Domenico Delli Gatti (Catholic university of Milano)

13.00-14.30 Lunch break

14.30-15.15 Free space for impromptu communications with interventions of Alessandro Cappellini [abstract/presentation] and Alessandro Raimondi [abstract/presentation]

    Discussant: Biliana Alexandrova-Kabadjova (Banco de México)

15.15-16.00 Cristina Picillo (Bank of Italy), “The interbank market after August 2007: what has changed, and why?”

    Discussant: Leanne J. Ussher (Queens College and ISI)